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Quadrature of smooth stochastic processes
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  • Published: September 1991

Quadrature of smooth stochastic processes

  • Michael Weba1 

Probability Theory and Related Fields volume 87, pages 333–347 (1991)Cite this article

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Summary

The integral of a stochastic process is estimated by means of classical quadrature formulae. In contrast to certain conventional methods, knowledge of covariances is not required, and no regularity conditions are assumed. Explicit error representations and error bounds with respect to theL p-norm are established.

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Authors and Affiliations

  1. Institut für Mathematische Stochastik, Universität Hamburg, Bundesstrasse 55, W-2000, Hamburg 13, Federal Republic of Germany

    Michael Weba

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  1. Michael Weba
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Cite this article

Weba, M. Quadrature of smooth stochastic processes. Probab. Th. Rel. Fields 87, 333–347 (1991). https://doi.org/10.1007/BF01312214

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  • Received: 19 April 1988

  • Revised: 19 May 1990

  • Issue Date: September 1991

  • DOI: https://doi.org/10.1007/BF01312214

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Keywords

  • Covariance
  • Stochastic Process
  • Conventional Method
  • Probability Theory
  • Mathematical Biology
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